CRSP US Index History Files - Intraday Guide
The CRSP US Index History Files - Intraday include second-by-second levels of CRSP’s investable Equity Indexes and End of Day levels. The six files that comprise the data set are provided in SAS and ASCII formats and listed below:
(*.sas7bdat or *.dat)
|SAS Size||ASCII Size||Start Date||Description|
|Cap||4.66 GB||8.33 GB||4/1/2011||CRSP Market Cap Index levels – second by second|
|Vg||4.43 GB||7.87 GB||9/10/2012||CRSP Value Growth Index levels – second by second|
|Sector||4.85 GB||8.54 GB||9/21/2012||CRSP Sector Index levels – second by second|
|Eod_cap||<1 MB||<1 MB||3/31/2011||CRSP Market Cap Index levels – end of day|
|Eod_vg||<1 MB||<1 MB||9/7/2012||CRSP Value Growth Index levels – end of day|
|Eod_sector||<1 MB||<1 MB||9/20/2012||CRSP Sector Index levels – end of day|
|Total Zip File Size||8.79 GB||6.55 GB||N/A||Zipped File|
|Total File Size||13.95 GB||24.76 GB||N/A||Unzipped File|
*Price level indexes start dates. Total Return level indexes start at various other dates listed in Index List details at the end of this document.
UPDATE APRIL 2014: Six new indexes have been added to the files. Included in the Small/Mid Capitalization suite are Total Return and Price-only indexes, and Value and Growth Total Return and Price-only indexes. New indexes are included in columns to the far right of each file.